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Estimating value-at-risk: a point process approach 

Authors: V. Chavez-Demoulin ^a;  A. C. Davison ^b; A. J. McNeil ^a

Affiliations:	a Department of Mathematics, ETH-Zentrum, Zrich, Switzerland
	b Institute of Mathematics, Ecole Polytechnique Fdrale de Lausanne, Lausanne, Switzerland

DOI: 10.1080/14697680500039613

Publication Frequency: 8 issues per year

Published in: Quantitative Finance, Volume 5, Issue 2 April 2005 , pages 227 - 234

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Number of References: 25

Formats available: HTML (English) : PDF (English)

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